Computation of the correlation between a stock return and a given benchmark

Hi guys,
This is a general question following this thread.
Given a stock (let's say VOWG_p.DE) and a reference index (let's say .STOXX), a customer wants to compute/retrieve the correlation between the day to day return of the stock and the reference index price on a timeframe. Of course the stock returns include the dividends
what does a a python function which uses refinitiv.data library look like?
Best Answer
-
Hi @yaokoffi.kouassi ,
I am afraid there is no direct way of computing the correlation coefficient from the library. If I got your question correct, these are the steps I would take to calculate the coefficient:
1. Get the prices of the stock and the benchmark from Refinitiv.data:
index_price = rd.get_history(universe = '.STOXX', fields='TRDPRC_1', start = '2023-07-01', end = '2023-08-14')
stock_price = rd.get_history(universe = 'VOWG_p.DE', fields='OFF_CLOSE', start = '2023-07-01', end = '2023-08-14')2. Calculate daily returns:
index_return = index_price['TRDPRC_1'].pct_change().dropna()
stock_return = stock_price['OFF_CLOSE'].pct_change().dropna()3. Calculate the required correlation coefficient (e.g. Pearson, spearman) using Scipy library:
import scipy.stats
scipy.stats.pearsonr(index_return.values, stock_return.values)This returns the the coefficient and the p-value:
(0.45796402563762706, 0.012482344923260497)
Hope this helps and please let me know if I missed anything while building my answer.
Best regards,
Haykaz
0
Answers
-
Thank you so much @haykaz.aramyan .
This is exactly what I was looking for
0 -
You can also take the approach with the ADC computation capabilities to calculate beta:
rd.get_data("VOWG_p.DE","RSLOPE('.STOXX',PERCENT_CHG(TR.PriceClose(Sdate=-5Y,Edate=0D,Curn=EUR,Frq=M),Lag=-1M))")
0
Categories
- All Categories
- 3 Polls
- 6 AHS
- 36 Alpha
- 166 App Studio
- 6 Block Chain
- 4 Bot Platform
- 18 Connected Risk APIs
- 47 Data Fusion
- 34 Data Model Discovery
- 685 Datastream
- 1.4K DSS
- 615 Eikon COM
- 5.2K Eikon Data APIs
- 10 Electronic Trading
- Generic FIX
- 7 Local Bank Node API
- 3 Trading API
- 2.9K Elektron
- 1.4K EMA
- 252 ETA
- 556 WebSocket API
- 38 FX Venues
- 14 FX Market Data
- 1 FX Post Trade
- 1 FX Trading - Matching
- 12 FX Trading – RFQ Maker
- 5 Intelligent Tagging
- 2 Legal One
- 23 Messenger Bot
- 3 Messenger Side by Side
- 9 ONESOURCE
- 7 Indirect Tax
- 60 Open Calais
- 275 Open PermID
- 44 Entity Search
- 2 Org ID
- 1 PAM
- PAM - Logging
- 6 Product Insight
- Project Tracking
- ProView
- ProView Internal
- 22 RDMS
- 1.9K Refinitiv Data Platform
- 652 Refinitiv Data Platform Libraries
- 4 LSEG Due Diligence
- LSEG Due Diligence Portal API
- 4 Refinitiv Due Dilligence Centre
- Rose's Space
- 1.2K Screening
- 18 Qual-ID API
- 13 Screening Deployed
- 23 Screening Online
- 12 World-Check Customer Risk Screener
- 1K World-Check One
- 46 World-Check One Zero Footprint
- 45 Side by Side Integration API
- 2 Test Space
- 3 Thomson One Smart
- 10 TR Knowledge Graph
- 151 Transactions
- 143 REDI API
- 1.8K TREP APIs
- 4 CAT
- 27 DACS Station
- 121 Open DACS
- 1.1K RFA
- 104 UPA
- 193 TREP Infrastructure
- 228 TRKD
- 917 TRTH
- 5 Velocity Analytics
- 9 Wealth Management Web Services
- 90 Workspace SDK
- 11 Element Framework
- 5 Grid
- 18 World-Check Data File
- 1 Yield Book Analytics
- 46 中文论坛